Money Demand Function with Asymmetric Adjustment: Evidence on BRICs | |
---|---|
學年 | 99 |
學期 | 2 |
出版(發表)日期 | 2011-07-01 |
作品名稱 | Money Demand Function with Asymmetric Adjustment: Evidence on BRICs |
作品名稱(其他語言) | |
著者 | Zhu, Meng-nan;Yu, Hai-Yan; Chang, Hsu-ling; Su, Chi-wei |
單位 | 淡江大學國際貿易學系暨國際企業研究所 |
出版者 | Lagos: Academic Journals |
著錄名稱、卷期、頁數 | African Journal of Business Management 5(14), pp.5449-5459 |
摘要 | The long-run equilibrium relationship for the money demand function in the BRICs is investigated by the asymmetrical TAR and M-TAR cointegration tests developed by Enders and Granger (1998), Enders and Siklos (2001). Empirical results indicate that real M2 money balance, real GDP, real exchange rate and deposit rate have a long term relationship under some specific threshold value. Furthermore, we apply asymmetrical error-correction models to test if the money demand of the BRICs exist any nonlinear forms which will be compared with symmetrical error-correction models. Therefore, we find that M2 money demand in the BRICs support the hypothesis of an asymmetrical error correction process and provide better interpretation of macroeconomic meanings in the demand for money. |
關鍵字 | Money demand function;threshold autoregressive model;asymmetry adjustment;BRICs |
語言 | en |
ISSN | 1993-8233 |
期刊性質 | 國外 |
收錄於 | SSCI |
產學合作 | |
通訊作者 | Su, Chi-wei |
審稿制度 | |
國別 | NGA |
公開徵稿 | |
出版型式 | 紙本 |
相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/54874 ) |